Some useful equivalence properties of Hausman's test

DOI10.1016/0165-1765(86)90076-5MaRDI QIDQ899729zbMATH OpenOpenAlexFDO

Authors Alberto Holly, Alain Monfort

Publication date 1 January 2016

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(86)90076-5

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Applications of statistics to economics (62P20)

Recommendations

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Cites work

• scientific article; zbMATH DE number 3373921 (Why is no real title available?)
• A Remark on Hausman's Specification Test
• Panel Data and Unobservable Individual Effects
• Some useful equivalence properties of Hausman's test
• Specification Tests in Econometrics

Cited in

(17)

• Hahn-Hausman test as a specification test
• A Hausman test for the presence of market microstructure noise in high frequency data
• A note on the equivalence of specification tests in the two-factor multivariate variance components model
• Assessing the relative efficiency of Hausman's test under Bahadur efficiency considerations
• Algebraic equivalences among Wald, LM and Hausman's tests in the linear regression model
• Generalized inverses and asymptotic properties of Wald tests
• Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory
• The maximum number of parameters for the Hausman test when the estimators are from different sets of equations
• The equivalence of Hausman and Lagrange multiplier tests of independence between disturbance and a subset of stochastic regressors
• Equivalence properties of the Hausman statistic based on a generalized inverse
• Near exogeneity, weak identification and specification testing: Some asymptotic results
• The equality of comparable extended families of classical-type and Hausman-type statistics
• Testing nested or non-nested hypotheses
• Computing Wald criteria for nested hypotheses
• Limited information estimators and exogeneity tests for simultaneous probit models
• Testing for time-invariant unobserved heterogeneity in generalized linear models for panel data
• Some useful equivalence properties of Hausman's test

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